有限异源的异质代理模型中财富的不可能性定理
An Impossibility Theorem for Wealth in Heterogeneous-agent Models with Limited Heterogeneity
摘要：
已经证明，典型的Bewley-Huggett-Aiyagari异质代理模型不能解释收入和财富的联合分配。下面所述的结果证实了这一猜想，并阐明了它在非常一般的条件下的含义。我们特别指出，如果（i）代理人是无限寿命的，（ii）储蓄是无风险的，（iii）代理人有恒定的贴现因子，那么财富分布继承了收入冲击的尾部行为（例如，轻尾性或帕累托指数）。我们对效用的限制只要求相对风险厌恶是有界的，并且允许各种各样的收入过程。我们的研究结果最终表明，有必要超越标准模型来解释财富比收入具有更高的尾部的经验事实。我们通过例子证明，放松上述三个条件中的任何一个都可以产生帕累托尾。
英文摘要：
It has been conjectured that canonical Bewley--Huggett--Aiyagari heterogeneous-agent models cannot explain the joint distribution of income and wealth. The results stated below verify this conjecture and clarify its implications under very general conditions. We show in particular that if (i) agents are infinitely-lived, (ii) saving is risk-free, and (iii) agents have constant discount factors, then the wealth distribution inherits the tail behavior of income shocks (e.g., light-tailedness or the Pareto exponent). Our restrictions on utility require only that relative risk aversion is bounded, and a large variety of income processes are admitted. Our results show conclusively that it is necessary to go beyond standard models to explain the empirical fact that wealth is heavier-tailed than income. We demonstrate through examples that relaxing any of the above three conditions can generate Pareto tails.
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